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For more information regarding the index

BNP Paribas Momentum Multi Asset 5 Index

November 2020

The BNPP Momentum 5 Index levels are net of rebalancing and replication fees

and incorporate an annual fee of 0.50%, charged on a daily basis.

The BNP Paribas Momentum Multi Asset 5 Index (the Momentum 5 is a Rules-Based Index that seeks tomeasure the value of a hypothetical exposure to a range of asset classes and geographic regions based on 3 core principles:Diversification, Dynamic Allocation and Risk Control.

The BNPP Momentum 5 objective is to provide exposure to a diverse range of asset classes ranging fromdeveloped and emerging equity/bond markets, to energy, gold and US real estate. As each asset class may behavedifferently depending on market cycles, diversification may potentially improve the index risk-return profile versusexposure to a single asset class, such as US equities.

Seeking to adapt to changing market conditions, the BNPP Momentum 5 Index is rebalanced on a daily basis according toa proprietary rules-based methodology that aims to select up to 8 out of a universe of 14 components1 with the bestrecent risk adjusted positive performance to be weighted using a risk parity approach that generally results in higher

exposure to components with lower historical volatility and lower exposure to those with higher historical volatility.

The BNPP Momentum 5 Index also includes a risk control mechanism that aims to maintain the realized volatility ofthe performance of the index at a 5% target, with the goal of reducing volatility during unstable market periods.

The BNPP Momentum 5 Index is an Return meaning that the index level reflects the performance of anyindex components that are ETFs in excess of 3-month USD LIBOR and inclusive of the value that would be derived fromthe reinvestment of any dividends and distributions by the issuer of any such ETFs and, with respect to componentsthat are linked to futures contracts, the index level will not take into account any money market interest.

Introducing the BNP Paribas Momentum Multi Asset 5 Index

2

1 The components not selected will be weighted at zero or reduced to the lowest weight possible in accordance with each limitation on its daily weight change.2 The maximum weights are as follows: each Equity ETF 25%, Japan Equity Futures Index 25%, each Commodity Futures Index 25%, each Bond Futures Index 50%,High Yield Corporate Bond ETF 25%, EM Bond ETF 15% and US Real Estate ETF 25%. Leverage is allowed and the cost of borrowing is zero. Minimum weight is 0% for eachcomponent. On a daily basis the absolute change in weight differs for each component but cannot be greater than 5%.

Definitions

Equity ETFs

iShares MSCI EAFE ETF EFA

iShares MSCI Emerging Markets ETF EEM

SPDR S&P 500 ETF Trust SPY

iShares Russell 2000 ETF IWM

Bond Futures

BNPP USD 10Y Futures Index BNPIFU10

BNPP EUR 10Y Futures Index BNPIFE10

BNPP JPY 10Y Futures Index BNPIFJ10

BNPP USD Long Term Treasury Bond Futures

BNPIFU30

Bond ETFs

iShares IBOXX High Yield Corporate Bond ETF

HYG

iShares JP Morgan USD Emerging Markets Bond ETF

EMBCommodityFutures

S&P GSCI Crude Oil ER Index SPGSCLP

S&P GSCI Gold Index ER SPGSGCP US Real Estate ETF iShares US Real Estate ETF IYR

Index Highlights

Equity Futures BNPP Japan Equity Futures Index BNPIFJP

A Rules-Based Index is an index where the weightings of thecomponents are determined following a pre-defined algorithmic setof rules and proprietary formulas.

Risk parity allocation targets an equal distribution of risk, usuallydefined as volatility, across all the selected components of theportfolio.

ETF is a Exchange Traded Fund that tracks an index, a commodity ora basket of assets and is traded similar to a common stock.

Volatility is the amount of price variation in an asset or security.High volatility means the price moves up and down in wide rangesover a period of time. Low volatility means that the price does notchange as dramatically, but rather changes at a more gradual pace.

LIBOR (London InterBank Offered Rate) is a benchmark interest ratethat banks typically charge each other for short-term loans. It canbe used as basis to calculate interest rates on several types of loans.

Universe of components used to determine the Index 2

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Step-by-Step Composition of the BNPP Momentum 5 Index

The universe of components used to determine the composition of the BNPP Momentum 5 Index includes ETFs and futures indices that have been selected with the objective of providing exposure to instruments that are both liquid and representative of the market.

Asset ClassThe BNPP Momentum 5 components aims to reflect the performance of a variety of asset classes, all possibly behaving differently in diverse market cycles. This can potentially yield favorable risk-adjusted returns.

GeographyThe universe of components taken into account to form the BNPP Momentum 5 Index seeks to be representative of different geographic zones, which may lead to more stable returns in the long term.

Level of riskThe BNPP Momentum 5 Index of assets with varying risk levels. Riskier asset classes tend to include developed and emerging equity markets, energy and precious metals commodities, while less risky asset classes tend to include several types of bonds with different durations and other debt instruments.

An Index consisting of a portfolio selected from a diverse universe of 14 components

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A Futures contract is an agreement to make and receive a cash paymentbased on changes in the price of a particular commodity or financialinstrument at a pre-determined date in the future. Some of thecomponents compiling the BNPP Momentum 5 Index are Index Futures,which track the performance of certain futures contracts.

Liquidity describes the degree to which an asset or security can bequickly bought or sold in the market without affecting theprice

Definitions

Diversification

For Illustrative Purposes Only.

US Real Estate ETF

1

Equity ETFs

4

Bond Futures Indices

4

Bond ETFs

2

2Commodity

Futures Indices

E

Equity Futures Index

1

The BNPP Momentum 5 Index is a momentum-based index that seeks to capitalize on positive market price trendsbased on the supposition that positive market price trends may continue.On a daily basis, the BNPP Momentum 5 Index is rebalanced according to 2 main principles:

Aims to select up to 8 out of the universe of 14 components1 with the best risk adjusted recent positive performance

Risk parity allocation granting the same risk contribution to the selected components, aiming for a stable and diverse composition1

For illustrative purposes only and assuming 8 components are selected to be weighted using the risk parity approach.

Step 1 - Selection of up to 8 components1

The BNPP Momentum 5 Index first calculates the averagemomentum score2 of each component within the universe,taking into account 2 factors:

Performance over the past 6 months Volatility: an increase in the underlying short term

volatility versus the long term volatility would reduceits momentum score

The BNPP Momentum 5 Index then selects up to 8components with the highest positive average momentumscore2

Step 2 - Risk Parity AllocationThe selected components are given an equal VolatilityBudget3, according to the risk parity weighting approach.

This approach differs from the more standard EqualWeight allocation by:

increasing exposure to less volatile components reducing exposure to more volatile components

1 Components not selected will be weighted at zero or reduced to the lowest weight possible in accordance with each limitation on its daily weight change.2 The index uses an averaged momentum score, which aims at avoiding large discrepancies in the expected returns estimation from one day to the next.3 The weight of each component is determined by the ratio of its volatility budget and its long term volatility such that each component contributes the same level of riskto the index.

Highest weights on lower volatility components

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Up to 8 components1

Universe of 14 components

Volatility

Step-by-Step Composition of the BNPP Momentum 5 Index

Dynamic Allocation

+-

VOLATILITY INCREASES

On a daily basis, the BNPP Momentum 5 Index targets an annualized realized volatility of 5% utilizing a set of rulesthat seek to manage short term volatility in changing market conditions. If the realized volatility exceeds/islower than the 5% target volatility rate on any day, the BNPP Momentum 5 Index will reduce/increase its exposure toeach component and may rebalance it with exposure to a non-remunerable hypothetical cash position. Based on itsrealized volatility, the BNPP Momentum 5 Index may be partially or wholly unexposed to any of its components andwill not earn interest or any other return with respect to the hypothetical cash position.1

HYPOTHETICAL CASH POSITION

INDEX COMPONENTS

VOLATILITY DECREASES

BNPP Momentum 5 Index reduces its exposure to each component and invests more in the hypothetical cash position

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BNPP Momentum 5 Index increases its exposure to each component and invests less in the hypothetical cash position

Step-by-Step Composition of the BNPP Momentum 5 Index

Risk Control Mechanism

1 If the sum of the weights of the components comprising BNPP Momentum 5 Index is not greater than or equal to 100%, the Index will be wholly or partiallyexposed to a hypothetical cash position that earns no interest or return, so that the aggregate weight of the components and the hypothetical cash position willbe equal to 100%.

For illustrative purposes only and assuming the Index is comprised of 8 components.

50

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31-Dec-02 31-Dec-04 31-Dec-06 31-Dec-08 31-Dec-10 31-Dec-12 31-Dec-14 31-Dec-16 31-Dec-18

Index Level and Past Hypothetical Portfolios Weightings (Actual and Hypothetical Simulations)The charts below show an analysis of the back-tested levels of the BNPP Momentum 5 Index. The BNPP Momentum 5 Index was launched on January 27th, 2017. The prior performance shown is simulated.

Source: Bloomberg, BNP Paribas from December 31st 2002 to October 30th 2020.

Bloomberg ticker BNPIMOMA Index

Calculation Agent BNP Paribas Arbitrage SNC

Index Sponsor BNP Paribas

Index Type Excess Return

Weighting Daily rebalancing

Annual Fee 0.50%, charged on daily basis

Index Launch Date January 27th 2017

Index Start Date December 31st 2002

Index Yearly Return Summary 1 Index Information 2

Index Statistics, Level and Weightings - Actual and Hypothetically Simulated 1

Source: Bloomberg, BNP Paribas from December 31st 2002 to October 30th 2020. Past performance is not an indicator of future performance. The BNPP Momentum 5 Index isbased on Hypothetical Past Performance Data prior to January 27th 2017. Because the BNPP Momentum 5 Index did not exist prior to this date, all retrospective levelsprovided in the graph and table above are simulated and must be considered illustrative only. The presentation of hypothetical data reflects the deduction of fees and charges.These simulations are the result of estimates made by BNP Paribas at a given moment on the basis of the parameters selected by BNP Paribas, certain assumptions that may ormay not hold in future periods, of market conditions at this given moment and of historical data, which should not be used as guidance, in any way, of the future results of theBNPP Momentum 5 Index.2 In addition to the annual fee, the BNPP Momentum 5 Index level is net of BNP replication and rebalancing costs associated with the index. Furthermore, since the indexis an excess return index, its level reflects the performance of any index components that are ETFs in excess of 3-month USD LIBOR and inclusive of the value that would bederived from the reinvestment of any dividends and distributions by the issuer of any such ETFs and, with respect to components that are linked to futures contracts, the indexlevel will not take into account any money market interest.

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Source: Bloomberg, BNP Paribas from December 31st 2002 to October 30th 2020.

Annualized Return 5.56%

Volatility 4.98%

Sharpe Ratio 1.12

Index Launch Date January 27th 2017

Inde

x Lev

elW

eight

ings

-10%-5%0%5%

10%15%20%25%

03 04 05 06 07 08 09 10 11 12 13 14 15 16 17 18 19 YTD

0%

50%

100%

150%

200%

250%

31-Dec-02 31-Dec-04 31-Dec-06 31-Dec-08 31-Dec-10 31-Dec-12 31-Dec-14 31-Dec-16 31-Dec-18

Japan 10Y Treasury Futures EUR 10Y Treasury Futures US 10Y Treasury Futures

US 30Y Treasury Futures Gold Futures Crude Oil, WTI Futures

iShares US Real Estate ETF iShares JP Morgan USD Emerging Markets Bond ETF iShares IBOXX High Yield Corporate Bond ETF

iShares Russell 2000 ETF SPDR S&P 500 ETF iShares MSCI Emerging Markets ETF

iShares MCSI EAFE ETF Japan Equity Futures

Selected Risks and Considerations Associated with the IndexThe BNPP Momentum 5 Index levels are based on the values of notional assets and liabilities.

The BNPP Momentum 5 Index only calculates the exposure to a dynamic, hypothetical portfolio that tracks the excess returns of the underlying components and is

purely notional. There is no actual portfolio of assets to which any person makes any investment or has any ownership interest.No recommendation.

BNP Paribas makes no recommendation as to the suitability for investment of the BNPP Momentum 5 Index or any products or strategies based partly or wholly on

BNPP Momentum 5 Index. You should reach a decision after careful consideration with your advisors.Strategies relying on the levels of the BNPP Momentum 5 Index may not be successful.

There is a risk that the rules-based methodology of the BNPP Momentum 5 Index does not meet its stated objectives, including meeting its annualized target

volatility of 5%, resulting in underperformance of the components that comprise the index.There are risks associated with an index methodology that attempts to replicate a momentum-based investment strategy.

The calculation of the BNPP Momentum 5 Index employs a mathematical model intended to replicate what is known as a momentum-based investment strategy,

which seeks to capitalize on positive market price trends based on the supposition that positive market price trends may continue. This momentum-based strategy

underlying the methodology of the BNPP Momentum 5 Index is different from a strategy that seeks long-term exposure to a hypothetical portfolio consisting of

constant components with fixed weights. Because the value of the BNPP Momentum 5 Index is intended to replicate the performance of the momentum-based

investment strategy, these risks could also affect indirectly the performance of any product or strategy based partly or wholly on the levels of the BNPP Momentum

5 Index. BNP Paribas reserves the right to amend or adjust the BNPP Momentum 5 Index methodology from time to time and accepts no liability for any such

amendment or adjustment. BNP Paribas is not under any obligation to continue the calculation, publication or dissemination of the BNPP Momentum 5 Index and

accepts no liability for any suspension or interruption in the calculation thereof. Neither BNP Paribas nor any of its affiliates accepts any liability in connection with

the publication or use of the level of the BNPP Momentum 5 Index at any given time. This is neither an offer to sell securities or other instruments nor a solicitation

of an offer to buy securities or other instruments, nor shall it be deemed to provide investment, tax, accounting or other advice.Correlation of performances among the underlying components may reduce the levels of the BNPP Momentum 5 Index.

Performances among the underlying components may become highly correlated from time to time. High correlation during periods of negative returns among

underlying components representing any one sector or asset type that have a substantial weighting in the BNPP Momentum 5 Index could have a material adverse

effect on the levels of the BNPP Momentum 5 Index , which could in turn negatively affect the performance any product or strategy based partly or wholly on the

levels of the BNPP Momentum 5 Index .

Legal and regulatory regimes may affect the BNPP Momentum 5 Index , its components or its sub-components.

The BNPP Momentum 5 Index and its components (and sub-components thereof) are subject to legal and regulatory regimes in various regions and, in some cases, in

other countries that may change in ways that could negatively affect the BNPP Momentum 5 Index or its components (or sub-components thereof). Changes to the

applicable legal or regulatory regimes may have a negative impact on the BNPP Momentum 5 Index level. The components (or sub-components thereof) of the index

that are traded on one or more public exchanges are subject to the rules of the relevant exchange.The BNPP Momentum 5 Index has limited historical information.

The BNPP Momentum 5 Index is a new strategy, launched on January 27th 2017. The performance shown before that date is hypothetical past performance, based

on hypothetical back-tested information. This brochure also contains certain performance data based on back-testing, i.e., calculations of the hypothetical levels of

the BNPP Momentum 5 Index as if it had actually existed during a defined period of time, and may in certain circumstances contain simulated levels information

where the BNPP Momentum 5 Index has recently been established or issued. For time periods prior to the launch of any ETF included in the index, back-testing uses

alternative performance information derived from a proxy with similar asset exposure, rather than performance information for the relevant ETF. Further, you must

note that such analysis is based on a number of working assumptions that may not be capable of duplication in actual trading terms. Unlike actual performance

records, hypothetical or simulated performances, returns or scenarios may not necessarily reflect certain market factors such as liquidity constraints, fees and

transaction costs and must be considered as illustrative only. Actual historical or back-tested past performance does not constitute an indication of future results.

The actual performance of the BNPP Momentum 5 Index may bear little relation to its hypothetical historical results.

The BNPP Momentum 5 Index has limited public information.The BNPP Momentum 5 Index is a custom index developed by BNP Paribas, the Index Sponsor. There is limited information relating to the BNPP Momentum 5 Indexthat is publicly available. In addition, publicly available information on the BNPP Momentum 5 Index , its methodology and its components is limited.

The BNPP Momentum 5 daily volatility control mechanism may result in a lower index level and the actual volatility of the BNPP Momentum 5 Index may not

equal its target volatility.

The BNPP Momentum 5 daily volatility control allows the BNPP Momentum 5 Index to dynamically adjust the value of the hypothetical exposure to the

portfolio the index is based on and any cash component, depending on the volatility environment. However, the risk control overlay might limit overall levels of the

BNPP Momentum 5 Index in rising equity markets and may provide imperfect, limited protection in falling equity markets, particularly against sudden, large equity

losses. No assurance can be given that the BNPP Momentum 5 Index methodology will achieve its target volatility goals or that products or strategies based partly or

wholly on the levels of the BNPP Momentum 5 Index will outperform any alternative investment.

The closing levels of the BNPP Momentum 5 Index will include the deduction of an Annual Fee.The closing level of the BNPP Momentum 5 Index includes a deduction from the aggregate values of its components of an annual fee equal to 0.50% per annum. As aresult of this deduction, the value of the BNPP Momentum 5 Index will trail the value of a hypothetical identical portfolio from which no such amount is deducted.The closing level of the BNPP Momentum 5 Index is net of BNP replication and rebalancing costs.

The Closing Level of the BNPP Momentum 5 Index is net of BNP replication and rebalancing costs associated with the index. As a result of these costs, the

value of the BNPP Momentum 5 Index could trail the value of a hypothetical identical portfolio from which no such amount is deducted.The BNPP Momentum 5 Index is an excess return index.

In general, returns from investing in futures contracts are derived from three sources: (1) changes in the price of such futures contracts (known as the

(2) profit or loss realized when rolling from a futures contract with one expiry date to another futures contract with a different, generally later, expiry date

(known as the and (3) interest earned on the cash (or other) collateral deposited in connection with the purchase of such futures contract (known as

the . The components of the BNPP Momentum 5 Index that seek to track futures contracts generate meaning the sum of the

price return and roll return with respect to the underlying components. As a result, with respect to the BNPP Momentum 5 Index underlying components that seek

to track futures contracts, an investment in an instrument linked to the BNPP Momentum 5 Index will not generate the same returns that would be obtained from

investing directly in future contracts that underlie such underlying components because the collateral return is not used in calculating the index.

With respect to each ETF included in the index, the index measures their performance plus dividends paid on such ETFs, less the interest rate. Increases in the level

of the interest rate may offset in whole or in part increases in the levels of the index components that are ETFs.

The bank for a changing world 7

Selected Risks and Considerations Associated with the IndexBNP Paribas Arbitrage SNC, an affiliate of the BNPP Momentum 5 Index Sponsor, BNP Paribas, is the calculation agent who is responsible for calculating the levels

of the BNPP Momentum 5 Index .

The policies and calculations for which the calculation agent is responsible could have an impact, positive or negative, on the level of the BNPP Momentum 5 Index . BNP

Paribas and its affiliates are under no obligation to consider your interest as an investor in a product linked to the BNPP Momentum 5 Index .

Portions of the BNPP Momentum 5 Index may be effectively uninvested and earn no return.The BNPP Momentum 5 Index , on each day on which it is calculated, adjusts its exposure to its components in an attempt to maintain an annualized volatility of 5%. If theaggregate weight of the components is less than 100%, the BNPP Momentum 5 Index will allocate exposure to a hypothetical cash position. As a result, the BNPPMomentum 5 Index may underperform a similar index that provides 100% exposure to its components. The hypothetical cash position is an uninvested position that doesnot earn interest or any other return.The price, level or value of the components used in the BNP Momentum Multi Asset 5 Index may differ from other publicly available prices.The levels of the components that are Equity Futures Indices or Bond Futures Indices (the "BNPP Component Indices") are intended to reflect the performance of therelevant futures contracts on a daily volume-weighted average price, subject to a set of trade filters selected by the Index Sponsor to exclude trades with certain codesprovided by the relevant exchange that indicate non-standard trades. Such levels are calculated by the Index Calculation Agent or an affiliate thereof and are not publiclyavailable and may not reflect all trades reported by the relevant futures exchange. The daily closing price or any other price of the underlying futures contract may varyfrom the volume-weighted average price reflected by the level of the applicable BNPP Component Index. a BNPP Component Index may be subject to adisruption due to the unavailability of a volume-weighted average price despite regular trading of the underlying futures contract and the availability of a closing price forsuch contract.The BNPP Momentum 5 Index 's target volatility feature may reduce its appreciation potential.Under normal circumstances, equity or commodity futures may exhibit significantly higher volatility than the target volatility of 5%. Accordingly, the "volatility control"mechanism of the BNPP Momentum 5 Index may have the effect of skewing allocations among components in the BNPP Momentum 5 Index toward components thatprovide exposure to fixed-income assets (which typically have lower volatility than components that provide exposure to equity or commodity futures) or to cash (whichhas zero volatility). Index components that typically have lower volatility may have lower return potential than components that typically have higher volatility, and anyallocation to cash will earn no return at all.Moreover, if the BNPP Momentum 5 Index has a relatively high allocation to components that provide exposure to fixed-income assets, it will be particularly sensitive tofactors that adversely affect the value of fixed-income instruments, such as increases in interest rates or declining perceptions of credit quality. A high allocation tocomponents that provide exposure to fixed-income assets may also cause the BNPP Momentum 5 Index to underperform a portfolio more heavily weighted with highervolatility assets under certain circumstances. For example, in an equity bull market that is accompanied by rising interest rates, a portfolio heavily weighted withcomponents that provide exposure to fixed-income assets might decline in value as a result of the rising interest rates, while a portfolio heavily weighted with componentsthat provide exposure to equities would appreciate in value.Other Key Risks:

• The BNPP Momentum 5 Index involves daily rebalancing that is applied to the components. Changes in the value of the components may offset each other.

• The BNPP Momentum 5 Index is subject to risks associated with non-U.S. markets.

• Certain components are based on futures contracts are and may be subject to currency exchange risk. The BNPP Momentum 5 Index contains a currency conversion

mechanism that seeks to reduce losses due to currency exchange risk. It can also reduce or eliminate gains from currency exchange risk.

• BNP Paribas is the sponsor of the Equity Futures Indices and Bond Futures Indices that underlie the BNPP Momentum 5 Index.

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The BNP Paribas Momentum Multi Asset 5 Index (the Momentum 5 is the exclusive property of BNP Paribas or one of its affiliates (BNP Paribas and its affiliates arehereinafter called and is determined, composed and calculated by BNPP. Paribas Momentum Multi Asset 5 ParibasMomentum 5 and Momentum 5 (collectively, the are trademarks or service marks of BNPP. S&P®, S&P 500® and S&P GSCI® are trademarks ofStandard & Financial Services LLC and have been licensed for use by BNPP.NONE OF BNPP, S&P OR ANY THIRD PARTY LICENSOR GUARANTEES THE ACCURACY, ADEQUACY, TIMELINESS, COMPLETENESS OR AVAILABILITY OF THE BNPP MOMENTUM 5 INDEXOR ANY COMPONENT THEREOF OR DATA INCLUDED THEREIN, OR THAT NO ERROR, OMISSION, DELAY OR INTERRUPTION WILL EXIST THEREIN. NONE OF BNPP, S&P OR ANY THIRDPARTY LICENSOR MAKES ANY REPRESENTATION OR WARRANTY, AND EACH OF BNPP, S&P AND THE THIRD PARTY LICENSORS EXPRESSLY DISCLAIMS ALL REPRESENTATIONS ANDWARRANTIES, EXPRESS OR IMPLIED, REGARDING the BNPP MOMENTUM 5 INDEX , ANY BNPP MARK OR ANY S&P TRADEMARK OR SERVICE MARK OF S&P (COLLECTIVELY, THE ORMARKS INCLUDING, WITHOUT LIMITATION, THOSE REGARDING MERCHANTABILITY OR FITNESS FOR A PARTICULAR PURPOSE OR USE.In calculating the performance of the BNPP Momentum 5 Index, BNPP deducts an annual fee of 0.50% per annum, calculated on a daily basis which reduces the performance of theindex in the same way as a cost. In addition, the BNPP Momentum 5 Index methodology embeds certain costs which cover among other things, rebalancing and replication costs.Such costs (if any) may vary over time with market conditions.BNPP may license the BNP Momentum 5 Index to one or more companies (each, a for use in a product offered or issued by the Company. The products are not, in wholeor in part, sponsored, structured, priced, endorsed, offered, sold, issued or promoted by BNPP or any of its affiliates, or any third party licensor of information to BNPP. BNPPreserves the right to amend or adjust the BNPP Momentum 5 Index methodology from time to time and accepts no liability for any such amendment or adjustment. BNPP is notunder any obligation to continue the calculation, publication or dissemination of the BNPP Momentum 5 Index and accepts no liability for any suspension or interruption in thecalculation thereof. Neither BNPP nor any of its affiliates accepts any liability in connection with the publication or use of the level of the BNPP Momentum 5 Index at any given time.BNPP may enter into derivative transactions or issue financial instruments (the linked to the BNPP Momentum 5 Index. The BNPP Momentum 5 Index Productsare not in any way sponsored, endorsed, sold or promoted by the sponsor of any index component (or part thereof) which may comprise the BNPP Momentum 5 Index (the

that is not affiliated with BNPP (each such sponsor, an Index . The Underlying Index Sponsors make no representation whatsoever,whether express or implied, either as to the results to be obtained from the use of the relevant Underlying Index and/or the levels at which the relevant Underlying Index stands atany particular time on any particular date or otherwise. No Underlying Index Sponsor shall be liable (whether in negligence or otherwise) to any person for any error in the relevantUnderlying Index and the relevant Underlying Index Sponsor is under no obligation to advise any person of any error therein. None of the Underlying Index Sponsors makes anyrepresentation whatsoever, whether express or implied, as to the advisability of purchasing or investing in, or assuming any risk in connection with, the BNPP Momentum 5 IndexProducts. BNPP shall have no liability to any party for any act or failure to act by any Underlying Index Sponsor in connection with the calculation, adjustment or maintenance of therelevant Underlying Index and have no affiliation with or control over any Underlying Index or the relevant Underlying Index Sponsor or the computation, composition ordissemination of any Underlying Index. Although BNPP will obtain information concerning each Underlying Index from publicly available sources that it believes reliable, it will notindependently verify this information. Accordingly, no representation, warranty or undertaking (express or implied) is made and no responsibility is accepted by BNPP as to theaccuracy, completeness and timeliness of information concerning any Underlying Index.BNPP may act in a number of different capacities in relation to the BNPP Momentum 5 Index and/or products linked to the BNPP Momentum 5 Index, which may include, but not belimited to, acting as hedging counterparty, index sponsor and/or index calculation agent.© BNP Paribas. All rights reserved.

Important Information